多层矩阵因子模型

IF 9.9 3区经济学 Q1 ECONOMICS

Journal of Econometrics Pub Date : 2025-05-31 DOI:10.1016/j.jeconom.2025.106033

Yuteng Zhang , Yongchang Hui , Junrong Song , Shurong Zheng

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引用次数: 0

摘要

近年来，大规模矩阵数据在各个领域得到了广泛的发现和不断的研究。考虑到矩阵时间序列中存在多层因子结构，提出了一种多层矩阵因子模型。该模型既包含影响所有矩阵时间序列的全局因素，也包含局限于影响特定矩阵时间序列的局部因素。建立了渐近性质，以保证估计因子负载矩阵的方法的一致性。为了证明我们估计的有限样本性能，我们给出了全面的仿真结果。最后，我们将我们的模型应用于对来自10个不同行业的200只股票的8个指数的实证分析，包括收益、交易量和交易价值。

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Multilevel matrix factor model

Large scale matrix data has been widely discovered and continuously studied in various fields recently. We propose a multilevel matrix factor model considering the existence of multi level factor structure in matrix time series. This model incorporates both global factors influencing all matrix time series and local factors confined to impact specific matrix time series. Asymptotic properties are established to ensure the consistency of our procedure for estimating factor loading matrices. To demonstrate the finite-sample performance of our estimation, we present comprehensive simulation results. Finally, we apply our model to an empirical analysis of eight indexes, including return, trading volume, and trading value, across 200 stocks from ten distinct industries.

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来源期刊

Journal of Econometrics 社会科学-数学跨学科应用

CiteScore

8.60

自引率

1.60%

发文量

220

审稿时长

3-8 weeks

期刊介绍： The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.